A limit distribution of credit portfolio losses with low default probabilities
type: Item
instance of: scholarly article
title: A limit distribution of credit portfolio losses with low default probabilities
zbMATH Open document ID: 1416.91393
author: Xiaojun Shi
author: Zhongyi Yuan
author: Qihe Tang
published in: Insurance Mathematics \& Economics
publication date: 2017-11-23T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6811680
zbMATH Keywords: credit portfolio loss
zbMATH Keywords: extreme risk
zbMATH Keywords: limit distribution
zbMATH Keywords: loss given default
zbMATH Keywords: model risk
zbMATH Keywords: multivariate regular variation
zbMATH Keywords: tail dependence
describes a project that uses: copula
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2017.02.003
OpenAlex ID: W2586931296
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DOI: 10.1016/J.INSMATHECO.2017.02.003
description: scientific article; zbMATH DE number 6811680